BIS Quarterly Review, June 2018

BIS Quarterly Review  | 
05 June 2018
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The June issue contains only information related to BIS statistics, notably the BIS Statistical Bulletin; relevant material on financial developments will be included in the Annual Economic Report 2018 to be published on 24 June 2018.

International banking and financial market developments

The credit default swap market: what a difference a decade makes
Authors:  Iñaki Aldasoro and Torsten Ehlers
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Over the last decade, the size and structure of the global credit default swap (CDS) market have changed markedly. With the help of the BIS derivatives statistics, we document how outstanding amounts have fallen, central clearing has risen and the composition of underlying credit risk exposures has evolved. Netting of CDS contracts has increased, due to the combination of a higher share of standardised index products and the clearing of such contracts via central counterparties. In turn, this has led to a further reduction in counterparty risk. Underlying credit risks have shifted towards sovereigns and portfolios of reference securities with better credit ratings. The distribution of credit risks across counterparty categories has remained broadly unchanged. ...

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Quarterly Review boxes

Calculating clearing rates in BIS derivatives statistics
The calculation of clearing rates - the proportion of contracts cleared through CCPs - may seem straightforward, but several complications arise. One fundamental issue relates to whether to use trading activity or outstanding contracts (ie flow or stock data). Clearing rates based on trading activity, such as turnover, can better capture the degree of clearing of current contracts. However, such data overweigh short-term contracts, which are turned over more frequently. For the CDS market, the BIS covers only outstanding contracts. ...
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Global real housing prices
Author:  Robert Szemere
Global real residential property prices increased by 2% from end-2016 to end-2017, to stand 7% above their pre-Great Financial Crisis (GFC) level. In advanced economies (AEs), prices grew by 5% on average in nominal terms and 3% in real terms - ie deflated by the CPI - from end-2016 to end-2017. The rise was particularly marked in Canada; prices rose more moderately in Australia, the United States and the euro area as a whole (Graph B1). Among the euro area countries, real property prices increased significantly in Germany, Ireland and Spain but fell slightly in Italy. Prices increased only slightly in Japan and the United Kingdom. ...
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